Better risk and performance estimates with factor-model Monte Carlo
Yindeng Jiang and Doug Martin
| Year of publication: |
June 2015
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|---|---|
| Authors: | Jiang, Yindeng ; Martin, Doug |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/2015, 5, p. 29-67
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| Subject: | risk and performance meimeasures | estimation accuracy | short/unequal return histories | nonnormality | factor models | bootstrap | Monte-Carlo-Simulation | Monte Carlo simulation | Risiko | Risk | Schätzung | Estimation | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Kapitaleinkommen | Capital income | Faktorenanalyse | Factor analysis | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011438893